There is a scene where Ed Norton and Helena Bonham Carter go to a restaurant, and the waiters tell Ed that anything he orders will be free. That restaurant was a Clifton's Cafeteria (as you can see from the name on the door when they leave ), but it wasn't the well-known Clifton's (Brookdale) cafeteria, on Broadway. Instead, it was a former Clifton's branch, called "Clifton's Silver Spoon Cafeteria", which was located at 515 W. 7th Street, in downtown Los Angeles (about a block northwest of the Hotel Bristol).

That branch closed in 1999, and the "Fight Club" producers used the empty building to shoot those restaurant scenes with Ed and Helena. That building is now vacant. (The original Clifton's Cafeteria, two blocks to the east, opened in 1935 and remains open for business. You'll find it at 648 S. Broadway.). *

When they come out of the Clifton's, there's a scene where Ed Norton puts 'Marla' on a bus and tells her to avoid the city for a while. This was shot on 8th Street, near the corner of 8th Street & Broadway, in downtown L.A.  In the background behind them, you can see marquee of the old (closed) Olympic Theatre, which is located at 313 W. 8th Street. and (farther in the distance) the Tower theatre, at 802 S. Broadway. When the bus pulls away, it is heading northwest up 8th Street. *

Many of the film's interior sets were shot at the new L.A. Center Studios, located just west of the Harbor Freeway in downtown (the first movie studio to be built in the downtown area since the 1920's).

On the L.A. Center Studios campus is the old Unocal Building, at 1201 W. 5th Street, in downtown Los Angeles. Back in 1995, when Unocal moved out of the building, developers had planned to blow up the empty 12-story office building - for real (how's that for art imitating life?). But they found it to be useful as a filming location, and a new studio was born. In "Fight Club", they used it as the police headquarters & offices, where Ed Norton turns himself in (and where rogue cops try to castrate him).

The final scene, where they blow up all of the buildings, isn't real. Oh, the buildings are real L.A. skyscrapers, but the "skyline view", seen out the 'window' is fake. The actors are just standing in front of a glass at the studio, and the "view" is a studio composite of ten different buildings (mostly from Century City and downtown Los Angeles), rearranged in a way that you'll never see them in real life, using CGI effects to bring them down.

For instance:

• In the film, the last two buildings to fall are the twin Century Plaza Towers, located behind 2000 Avenue of the Stars in Century City.
  
• To the left of the twin towers (in this movie view view) is the nearby Fox Plaza Tower at 2121 Avenue of the Stars  (which, by the way, was also blown up in "Die Hard").
  
• And to the right of the twin towers (in this movie view) is the St. Regis Hotel tower (next to the Century Plaza Hotel), at 2055 Avenue of the Stars.

In real life, however, the Fox Tower is to the southwest of the twin towers, while the St. Regis is west, directly across the street. Here is a Google map of the actual position of those three buildings at Century City: